Systems and methods for providing up-to-date information for transactions

ABSTRACT

In a system for executing transaction requests, a received request for a transaction in an item is delayed prior to matching that request with another request for transaction in that item by a delay based on a communication delay and/or a processing delay. The communication delay represents the time required to receive updated information about the item and the processing delay represents the time required to compute an updated item price using the received updated information.

CROSS-REFERENCE TO RELATED APPLICATIONS

This application claims priority to and the benefit of, and incorporatesherein by reference in its entirety, U.S. Provisional Patent ApplicationNo. 61/980,421, entitled “IEX True Price Matching Engine,” which wasfiled on Apr. 16, 2014.

FIELD OF THE INVENTION

This disclosure generally relates to systems and methods for receivingand processing data and transaction requests and, in particular, toenabling all transaction requests to have access to up to dateinformation.

BACKGROUND OF THE INVENTION

On a typical electronic venue, participants generally submit requestsfor transactions in items for interest. Examples of such requestsinclude requests for trading stocks, bids on an article in an auction,requests for trading tickets to sports events, etc. Often, transactionsin the items of interest occur at not just one venue but at severaldifferent venues. The transaction at one venue can affect the item priceat other venues and, as a result, the price of an item of interest at aparticular venue is generally affected by transactions at one or moreother venues. A typical venue, therefore, receives transactioninformation or data about various items from several venues and othersources of information. Using the received information/data, the venuemay update the price(s) of item(s) of interest. The venue participantsusually rely on the venue, e.g., as part of a price matching/guaranteeprogram, in accordance with regulation (such as the trade throughprohibition under the U.S. Regulation NMS), etc., to access suchinformation/data and to provide up to date price(s) for the item(s) fortransactions in such item(s) that are requested by the venueparticipants.

Advances in communication and data processing technology have allowedsome venue participants to access information affecting item prices fromvarious sources before the venue does. These participants may use thatinformation to compute updated prices of the item(s) of interest, andmay send transaction request(s) to the venue, before the venue computesthe updated price(s). These transaction requests may be based on thedata received by these participants and/or the updated prices computedby such participants. Therefore, in executing transactions, theseparticipants can gain an advantage over other venue participants, wholack knowledge of the latest data and updated item prices because theyrely on the venue for that data and prices. In some situations, theother participants may suffer harm such as losing a bid to an item ofinterest, paying more than necessary for a purchased item, and/orreceiving less than full, up to date price for a sold item, etc.

SUMMARY OF THE INVENTION

Various embodiments of the present disclosure allow a venue to computeup to date prices for item(s) of interest when data affecting suchprices becomes available, before executing any transaction request(s)that are based at least in part on the knowledge of such data.Therefore, transaction requests from all venue participants may haveaccess to the latest data and the most up to date item prices, andgenerally no participant has any advantage resulting from the slowerdata access and processing by the venue relative to that venueparticipant. This is achieved in part by introducing a predetermineddelay when a transaction request is received at the venue, prior toprocessing the request. The delay is based in part the delay associatedwith receiving new data at the venue and in part on the delay involvedin processing the received data at the venue. As such, transactionrequests may be generally delayed by no more than the time it would takethe venue to compute the most up to date price(s) of item(s).

Accordingly, in one aspect, a method is provided for facilitating at acomputerized venue transactions that are based on up to date itemprices. The method includes receiving at the venue, via a communicationinterface, data q associated with a price of an item. In general, thedata q is received after a communication delay of at most v units oftime. The method also includes computing by a price computationprocessor at the venue an up to date price r of the item using thereceived data q. The computation of the up to date price r is generallyassociated with a processing delay of at most d units of time after thedata q is received, i.e., after the data q is received, it generallytakes d units of time for the price computation processor to compute theup to date price r. The method further includes receiving at the venue afirst electronic transaction request for the item, and forwarding thefirst electronic transaction request to a transactions matchingprocessor at the venue after a forwarding delay of p units of time. Theforwarding delay is a function of the communication delay and/or theprocessing delay. As such, the up to date price of the item computed bythe price computation processor is accessible to the transactionsmatching processor before matching the first electronic transactionrequest with another electronic transaction request.

In some embodiments, the data q associated with the item is receivedfrom a particular quotation provider among several quotation providers,and the communication delay depends at least in part on the quotationprovider from which the data q is received, and/or a communicationinfrastructure between the quotation provider and the venue. The itemmay be a security, an event ticket, a ticket for a service, and/or anarticle for sale. The security may be a stock, a bond, a currency, acrypto-currency, and/or a derivative instrument. If the item is asecurity, the up to date price r may include a national best bid andoffer (NBBO) price of the security.

In some embodiments, the first electronic transaction request is basedat least in part on the data q and/or the up to date price r of the itemderived by a sender of the request using the data q. The firstelectronic transaction request may be received at the venue beforecomputation of the up to date price r of the item is completed by theprice computation processor. The first electronic transaction requestcan be a buy order, a sell order, an order revision, an ordercancellation, a bid, an offer, a trading interest, and/or an indicationof interest.

In some embodiments, the forwarding delay p is in a range from 300 μs upto 400 μs. For example, the forwarding delay can be 320 μs, 350 μs, 360μs, etc. The forwarding delay p can also be less than 300 μs, e.g., 200μs, 120 μs, 80 μs, or less, or can be more than 400 μs. Thecommunication delay may based on, at least in part, one or morecharacteristics of a communication infrastructure between the venue anda source of the data q. The processing delay may be based on, at leastin part, one or more characteristic of the price computation processor.The function of the communication delay and/or the processing delay usedin determining the forwarding delay p may include the sum of thecommunication delay v and the processing delay d or a fraction of thesum.

In some embodiments, the method further includes matching by thetransactions matching processor the first electronic transaction requestwith a second electronic transaction request, where the matching isbased on, at least in part, the up to date price r of the item computedby the price computation processor. If the first electronic transactionrequest includes a sell order the second electronic transaction requestmay include a buy order and, otherwise, the first electronic transactionrequest may include a buy order and the second electronic transactionrequest may include a sell order. The second electronic transactionrequest may be received prior to receiving the data q at the venue.

In another aspect, a system for facilitating transactions that are basedon up to date item prices includes a communication interface forreceiving data q associated with a price of an item. In general, thedata q is received after a communication delay of at most v units oftime. The system also includes a price computation processor forcomputing an up to date price r of the item using the received data q.The computation of the up to date price r is generally associated with aprocessing delay of at most d units of time after the data q isreceived, i.e., after the data q is received, it generally takes d unitsof time for the price computation processor to compute the up to dateprice r. The system additionally includes a transaction request delaymodule that delays a first electronic transaction request for the itemby a forwarding delay of p units of time, and forwards the delayed firstelectronic transaction request to a transactions matching processor. Theforwarding delay is a function of the communication delay and/or theprocessing delay. As such, the up to date price of the item computed bythe price computation processor is accessible to the transactionsmatching processor before matching the first electronic transactionrequest with another electronic transaction request.

In some embodiments, the data q associated with the item is receivedfrom a particular quotation provider among several quotation providers,and the communication delay depends at least in part on the quotationprovider from which the data q is received, and/or a communicationinfrastructure between the quotation provider and the system. The itemmay be a security, an event ticket, a ticket for a service, and/or anarticle for sale. The security may be a stock, a bond, a currency, acrypto-currency, and/or a derivative instrument. If the item is asecurity, the up to date price r may include a national best bid andoffer (NBBO) price of the security.

In some embodiments, the first electronic transaction request is basedat least in part on the data q and/or the up to date price r of the itemderived from the data q by a sender of the first electronic transactionrequest. The first electronic transaction request may be received at thesystem/the transaction request delay module before computation of the upto date price r of the item is completed by the price computationprocessor. The first electronic transaction request can be a buy order,a sell order, an order revision, an order cancellation, a bid, an offer,a trading interest, and/or an indication of interest.

In some embodiments, the forwarding delay p is in a range from 300 μs upto 400 μs. For example, the forwarding delay can be 320 μs, 350 μs, 360μs, etc. The forwarding delay p can also be less than 300 μs, e.g., 200μs, 120 μs, 80 μs, or less, or can be more than 400 μs. Thecommunication delay may be based on, at least in part, one or morecharacteristics of a communication infrastructure between the system/thecommunication interface and a source of the data q. The processing delaymay be based on, at least in part, one or more characteristics of theprice computation processor. The function of the communication delayand/or the processing delay that is used in determining the forwardingdelay p may include the sum of the communication delay v and theprocessing delay d or a fraction of the sum.

In some embodiments, the system further includes a transactions matchingprocessor for matching the first electronic transaction request with asecond electronic transaction request, where the matching is based on,at least in part, the up to date price r of the item computed by theprice computation processor. If the first electronic transaction requestincludes a sell order the second electronic transaction request mayinclude a buy order and, otherwise, the first electronic transactionrequest may include a buy order and the second electronic transactionrequest may include a sell order. The second electronic transactionrequest may be received by the system prior to receiving the data q atthe communication interface.

One technical effect of various embodiments of the present invention isthat a venue or platform for electronically executing transactions initems can receive information that can affect item price and can computeupdated item prices using the received information before executing anytransactions, so that all venue participants who may present thetransaction requests can rely on the venue/platform to use the most upto date item prices in executing the transactions. Another technicaleffect of various embodiments of the present invention is that the delayintroduced in order to generally ensure that the venue has computed theup to date item prices before executing any transactions may depend onone or more characteristics of a communication infrastructure and/or oneor more characteristics of processing subsystems at the venue, so thatthe delay in execution of the transactions is generally no more thannecessary.

BRIEF DESCRIPTION OF THE DRAWINGS

Various embodiments of the present invention taught herein areillustrated by way of example, and not by way of limitation, in thefigures of the accompanying drawings, in which:

FIG. 1 schematically depicts a true-price platform according to oneembodiment, and a typical operating environment of such a platform;

FIG. 2A depicts a time sequence of events associated with a conventionalvenue; and

FIG. 2B depicts a corresponding time sequence associated with a venuedelaying transaction requests, according to one embodiment.

DETAILED DESCRIPTION OF THE INVENTION

With reference to FIG. 1, a true-price platform 100 (also called avenue) allows various participants 152, 154, 156 to perform transactionsrelating to one or more items of interest. In some embodiments, the itemof interest is a security (e.g., a stock or a bond). In otherembodiments, the item of interest can be an event ticket, a ticket for aservice, and/or an article for sale. While the description belowgenerally considers a security as the item of interest, this is only forthe sake of convenience. The techniques described herein are applicableto various different types of items of interest identified above. Itshould also be understood that three participants 152, 154, 156 aredescribed for illustrative purposes only. In general, there can be asfew as two and more than three, e.g., tens, hundreds, thousands,hundreds of thousands, millions, or even more participants performingtransactions relating to one or more items (e.g., tens, hundreds, orthousands of items), of the same or different types.

Typically for a security, at a particular instant of time the platform100 has a price associated with that security. That price may be storedin a memory module 102. Events, such as trading events associated withthe security, can occur at one or more venues 162, 164, 166, which canbe trading exchanges; electronic communication networks (ECNs)registered as broker-dealers; alternative trading systems (ATSs)approved by a regulatory agency such as the U.S. Securities and ExchangeCommission; private exchanges or forums for trading securities,generally known as dark pools; and/or alternative display facilities(ADF). The number of venues can be any number, e.g., 1, 2, 5, 6, 11, 15,etc. One or more of the events can affect the price of the security.Therefore, the platform 100 may receive data about such events from theone or more sources 162, 164, 166 through a network 170 (e.g., theInternet, a proprietary network, etc.), so that the platform can updatethe price of the security using the received event data. Data fromdifferent sources/venues may be received through different networksand/or networks of different types. Typically, the events continue tooccur as time progresses and, hence, the event data may be received bythe platform 100, via a communication interface 104, on an on-goingbasis.

When new data (q) becomes available at a source/venue (e.g., the source162), that source generally timestamps the data indicating the time atwhich the data (q) became available, prior to transmission/distributionthereof. That data generally becomes available at the communicationinterface 104 after a communication delay denoted (v). The communicationdelay (v) may be caused by a number of parameters such as time forpropagation of electrical signals representing the data (q), processingdelays introduced by network elements such as buffers, switches,routers, etc. The time of propagation generally depends on the distancebetween the source and the platform 100. The communication delay (v) istypically on the order of a few hundred microseconds but, ascommunication technology improves, this delay may decrease to tens ofmicroseconds, and can be on the order of several nanoseconds, or lesser.In some embodiments, the communication interface 104 can compute thecommunication delay (v) by comparing the time at which the data (q) wasreceived at the interface 104 with the timestamp included in the data(q). In general, different communication delays (v1, v2, v2, etc.) maybe associated with different sources 162, 164, 166. The communicationdelay corresponding to a particular source need not be constant across anumber of data transmissions from that source, and may be expressed interms of statistical parameters such as mean and variance, and/or as arange specified by minimum and maximum values.

After data (q) for a security (an item of interest, in general), isreceived from a source that data is typically used to update a price ofthe security. To this end, the communication interface may store thedata (q) in the memory module 102 and/or may forward that data to aprice processor 106. In some embodiments, the price processor 106 canaccess the received data from the memory module 102. In variousembodiments, the price processor computes an updated price for thesecurity using the received data (q), and may store the updated price inthe memory module 102. The computation of the updated price by the priceprocessor 106 may take up to (d) units of time.

In general, the computation of a price can include computation of one ormore price-related values such as an instantaneous price, minimum andmaximum values of a price range, midpoint price of a range, etc. Indifferent embodiments, the price processors 106 may have differentarchitectures. For example, the price processor 106 may include a singleprocessor or may include several processors performing price-updatingcomputations in sequence and/or in parallel. One or more processors canbe general purpose processors and/or specialized processors such as mathco-processors. In some embodiments, one or more processors may includeapplication specific integrated circuits (ASICs) and/or fieldprogrammable gate arrays (FPGAs). The price processor 106 may beimplemented using hardware processors only, using hardware processorshaving embedded software, or using processors executing softwareinstructions accessed from memory.

Depending on the nature of the computations involved, e.g., whether asingle value is to be updated or a number of values are to be updated,and/or the architecture of the price processor 106, the processing delay(d) can change. The processing delay (d) is typically on the order of afew hundred microseconds but, as processing technology improves, thisdelay may decrease to tens of microseconds, and can be on the order ofseveral nanoseconds, or lesser. The processing delay (d) may also beexpressed using statistical parameters such as mean and variance and/oras a range specified by minimum and maximum values. In some embodiments,the price processor 106 is configured to determine the processing delay(d).

In general, after a particular source transmits data (q) related to theprice of a security, an updated security price (r) generally becomesavailable at the platform 100 after the data is received by thecommunication interface 104 and after the price processor 106 hascomputed the updated security price (r) based on, at least in part, thereceived data (q). Therefore, after data (q) is transmitted, the up todate price of the security is generally available at the platform after(p=v+d) units of time. In various embodiments, the price update delay(p) is within the range 300 to 400 μs. As the platform 100 mayincorporate improved communication and/or processing technology and/orarchitecture, the price update delay (p) can decrease. The platform 100may compute the price update delay (p) using the values of thecommunication delay (v) and processing delay (d), determined or obtainedby the platform 100.

Typically, the participants at a venue such as the platform 100 rely onthe platform to receive data affecting prices of a security (an item ofinterest, in general), and to provide up to date prices for transactionsrequested by those participants. In some situations, however, one ormore participants of a platform have access to the data/informationaffecting prices of securities independently of the platform. Theseparticipants can access such data before the platform does, e.g., byco-locating, decreasing the distance between the source and theparticipant, using improved communication infrastructure, proprietarynetworks, etc. Using independently receive data, such participants canalso compute the up to date prices faster than the platform, e.g., usingfaster computing systems. In various embodiments, such participant(s)is/are called fast participant(s) or high frequency traders.

With reference to FIG. 1, the participant 152 is a fast participant. Insome situations, the fast participant 152 can generate a transactionrequest (also called an order) based on the data (q) the fastparticipant 152 received from a source independently of the platform 100and/or the up to date price (r) the fast participant 152 computed fromthe received data. The fast participant 152 may transmit thattransaction request to the platform 100 before the platform 100 hascomputed the up to date price (r) for the security. Such a transactionrequest and transaction requests from other participants are received atthe platform 100 via another communication interface 108. The platformmay store these transaction requests in a memory module 110. In someembodiments, a single memory module may be used to store the pricerelated data received from one or more sources, the updated prices, andthe transaction requests. In other embodiments, several (e.g., 4, 6, 12,20, etc.) memory modules may be used to store the price data (q), theupdated prices (r), transaction requests received from participant(s),communication delay (v), processing delay (d), and/or any otherinformation used by the communication interfaces 104, 108, the priceprocessor 106, and/or other components of the platform 100. In someembodiments, a single communication interface may receive both the pricerelated data (q) and transaction request(s) from participants.

In general, a matching engine 112, implemented using one or moreprocessors and/or software, matches a transaction request received fromone participant with one or more transaction requests that werepreviously received from one or more other participants. Such previouslyreceived transaction requests may be called orders resting on the orderbook or resting orders, and may be stored in the memory module 110. Anorder resting on the order book may rely on the platform 100 to providethe up to date price of a security and, as such, if an order based onthe most up to date price is received from a fast participant before theplatform has computed the most up to date price, the matching engine 112may match the order using stale price information, giving the fastparticipant an undue advantage.

To illustrate, consider a SELL order from the participant 156, that isresting on the order book of the platform 100 and asks the platform tosell a specified number of shares of XYZ stock at the midpoint of lowand high prices of the XYZ stock. Assume that the current low and highprices of the XYZ stock are L1 and H1, respectively, and that thecorresponding midpoint is M1. Also assume that new information about theXYZ stock was received from the source 166 by both the platform 100 andthe fast participant 152. Further assume that based on this newinformation, that the low price L1 increased to L2 and, correspondingly,the midpoint price increased from M1 to M2. As described above, the fastparticipant 152 may compute M2 and may send a BUY order to buy shares ofthe XYZ stock at a price M- that is greater than or equal to M1 but lessthan M2. Thus, the BUY order price M- is less than the true or the mostup to date midpoint price M2 of the XYZ stock. As described above, insome instances, the order from the fast participant 152 is received bythe platform 100 before the price processor 106 has computed the updatedprices L2 and M2.

Such an order can match with the resting order based on the stalemidpoint price of M1, so that the participant 156 would sell thespecified number of shares of the XYZ stock to the fast participant 152at the price M-, which is greater than or equal to M1 but is less thanM2. As the true or the most up to date midpoint price of the XYZ stockis M2, however, the fast participant 152 can profit from the differencebetween M2 and M-, the price at which a transaction between the fastparticipant 152 and the other participant 156 occurred, e.g., byreselling acquired shares of the XYZ stock at the true, up to date priceM2 at a profit of (M2−M-) per share. Had the platform 100 computed theprices L2 and M2 before attempting to match the BUY order from the fastparticipant 152 with any resting SELL orders, the platform 100 would nothave caused the participant 156 to sell the shares of the XYZ stock tothe fast participant 152 at the price of M- per share. Instead, should adifferent BUY order relying on the platform 100 to compute the up todate price be received or were resting, the platform 100 would permitthe participant 156 to sell the shares of the XYZ stock at the higher,true price M2.

While it may be beneficial to use the fastest available communicationand processing systems, this can be impractical, e.g., due to excessivecost and/or may be ineffective, e.g., due to geographic distancesbetween various sources of information and the platform 100. To preventmatching a transaction request based on the latest security-relatedinformation with a transaction request based on a stale price of thesecurity, or to minimize the risk of permitting such a match, theplatform 100 uses an order delaying module 114 that delays thetransaction requests received by the communication interface 108 beforethey are forwarded to the matching engine 112 for matching. Theforwarding delay may be introduced using a buffer implemented inhardware and/or software. The introduced forwarding delay (also denotedp) is related to the communication delay (v) and the processing delay(d) that is determined or obtained by the platform 100, as describedabove. For example, the forwarding delay introduced can be (p=v+d) unitsof time, or (p=v+d+1) units of time.

By introducing this forwarding delay, the platform 100 can ensure, or atleast increase the likelihood, that the price processor 106 hasdetermined the true, up to date price (r) of a security based on thelatest information/data (q) about the security, so that the matchingengine 112 has knowledge of the up to date price (r) when it attempts tomatch transaction requests. One or more of these requests may bereceived in response to and based on the latest information/data (q)about the security, and one or more requests may rely on the platform touse the latest information/data (q) and the up to date price (r). Bydelaying the requests, the platform 100 can make the up to date price ofsecurities (items of interest, in general) available to all participantsprior to matching their transaction requests, thereby reducing thelikelihood that a fast participant can take an undue advantage of otherparticipants.

While introducing a forwarding delay as describe above can alleviate orat least mitigate the problem of undue advantage to the fastparticipant(s), introducing such a delay in general may slow down theoverall processing at the platform 100. This can result in adisadvantage to all participants at the platform 100 becausetransactions at other venues (e.g., the venues 162, 164, 166) may beperformed relatively faster than at the platform 100. Therefore, invarious embodiments, the forwarding delay introduce by order delayingmodule 114 is minimal. As used herein, minimal delay means a delay basedon the communication delay (v) and the processing delay (d) asdetermined or obtained by the platform 100. The determination of one ormore delays can be performed via computations at the communicationinterface 104, the price processor 106, and/or another processor of theplatform 100, as described above. Additionally or in the alternative,communication and/or processing delays may be estimated usinginformation about the communication and/or processing systems, and maybe computed by the platform 100 or may be supplied thereto.

If the communication interface 104 and/or the price processor 106 areimproved using faster networks, processors, and other components thatexist at present and/or as such components would become available in thefuture, the computed and/or estimated delays (v, d), respectively, canaccount for these improvements, resulting reductions in either or bothof these delays. Therefore, in some embodiments, the forwarding delay(p) that is introduced by the order delaying module 114 is adaptive tothe components of the platform 100, and is no more than the least amountof time required to ensure that the price processor 106 has computed theup to date price (r) of a security before the matching engine 112matches any transaction requests for that security.

In some embodiments, if the communication and processing delays (v, d),respectively, are represented by the respective worst-case estimates,the introduced forwarding delay (p) can be a fraction of the sum (v+d),e.g., 30%, 50%, 60%, or 75%, etc. The fraction may be selected accordingto the statistical parameters of the communication and processing delays(v, d), respectively. As such, the likelihood that a fast participantcan take an undue advantage of other participants at the platform 100can be minimized while also minimizing the likelihood that the platform100 is significantly slower relative to other exchanges/venues wheretransactions in the security (item of interest, in general) can takeplace. As used herein, significantly slower means, e.g., slower by 5%,2%, 1%, 0.5%, 0.01%, or even less.

In various embodiments, an item of interest can be a security such as astock, bond, a currency, a crypto-currency, and/or a derivativeinstrument such as an option. The item of interest can also be an eventticket such as a concert ticket or a sports event ticket, a ticket for aservice such as an airline or cruise ticket. The item can also be anarticle for sale, such as a wearable device, a painting, etc., at anonline trading venue such as eBay™, or an indication of interest. If theitem of interest is a security, the sources of information 162, 164, 166can be security trading venues such as exchanges; electroniccommunication networks (ECNs) registered as broker-dealers; alternativetrading systems (ATSs) approved by a regulatory agency such as the U.S.Securities and Exchange Commission; private exchanges or forums fortrading securities, generally known as dark pools; and alternativedisplay facilities (ADFs). The platform 100 can also be any type ofsecurity trading venue described above.

These venues typically generate market data that can affect the price ofthe securities traded at these venues. A securities informationprocessor (SIP) may also provide market data. As such, the platform 100and other entities including brokers, trading firms, and investors,generally consume market data generated at one or more venues includingSIPs. These entities can also be the participants at the platform 100,such as the participants 152, 154, 156. In one embodiment, the platform100 is configured to consume data from eleven different trading venues.Such data can be received via different types of communicationinfrastructures such as ticker tape, a communication network such as theInternet, and proprietary networks often called Direct Feed networks, atvarying speeds. Additional examples of communication infrastructure thatthe platform 100 and/or a fast participant may employ also includebinary communication protocols, 40 Gb Ethernet, and microwavecommunication. In some embodiments, the platform 100 may receive marketdata via more than one communication infrastructures, e.g., forredundancy.

The introduction of the forwarding delay (p) can be particularlyeffective when the data affecting the price of a security (item ofinterest, in general) is changing frequently, such as several times in afew seconds, or in one second or fraction thereof. In some embodiments,the true or up to date price is represented as the National Best Bid andOffer (NBBO), and the platform 100 can compute the NBBO for a securityin less than 350 μs and, accordingly, the forwarding delay introduced bythe order delaying module 114 is 350 μs. An order in general, mayinclude a buy order, a sell order, an order revision, an ordercancellation, a bid, an offer, a trading interest, and/or in indicationof interest.

Example: Resting Buy Order

The NBBO is currently 30.00×30.05, and the NBBO updates to 29.95×30.00,i.e., the up to date price (r) is 29.95×30.00. An investor, i.e., aparticipant, has a non-displayed order resting on the order book to Buy10,000 XYZ @ 30.04. A venue that is slower to process received data andto update the price of the XYZ stock than some of its own participantsmay allow a fast participant to execute a Sell order against the restingBuy order at the stale price of $30.04, a price $0.04 outside theNational Best Offer price, costing the buyer an extra $400. The platform100, however, will determine the updated NBBO before the Sell order ismatched by the matching engine 112 and, thus, will not allow the Buyorder to execute at a price above $30.00, i.e., the most up-to-dateNational Best Offer price.

Example: Midpoint Peg Order

The NBBO is currently 10.00×10.04 with a midpoint price of 10.02. Aninvestor has an order resting on the order book: SELL 10,000 XYZ @MIDPOINT PEG, which is determined to be 10.02. The NBBO updates to10.03×10.04 with a new midpoint price of 10.035. A venue that is slowerto process received data and to update the price of the XYZ stock thansome of its own participants may allow a fast participant to execute aBuy order against the Midpoint Peg Sell order at the stale midpointprice of $10.02, a price $0.01 outside the National Best Bid price and$0.015 worse than the new midpoint price. The platform 100, however,will determine the updated NBBO before the Buy order is matched by thematching engine 112 and, thus, will only allow the Midpoint Peg Sellorder to execute at $10.035, the most up-to-date and accurate midpointprice.

With reference to FIG. 2A, a quotation change may occur, i.e., new data(q) affecting the price of an item of interest may become available attime instant 202. The data (q) may be received via a data feed at aconventional venue at time instant 204. The same data (q) may bereceived at a fast participant before the time instant 204, at timeinstant 206. Using the data (q) the conventional venue may compute an upto date price (r) at time instant 208. Prior to that, the fastparticipant may compute the up to date price (r) at time instant 210 andmay transmit a transaction request based on the data (q) and/or theprice (r) to the conventional venue at time instant 212. Upon receivingthat request at time instant 214, the conventional venue may match thetransaction request with a previously received request from anotherparticipant, at time instant 216, before the conventional venue hascomputed the up to date price (r). The transaction may be processed attime instant 218, giving an advantage to the fast participant.

With reference to FIG. 2B, after the data (q) becomes available at thetime instant 202, the data is received at a venue configured tointroduce a forwarding delay, at time instant 252, and at a fastparticipant, at an earlier time instant 254. The delay introducing venuemay compute the up to date price (r) that is based on the data (q) attime instant 256. Prior to that, the fast participant may compute the upto date price (r) at time instant 258 and may transmit a transactionrequest based on the data (q) and/or the price (r) to the delayintroducing venue at time instant 260. After receiving the transactionrequest at time 262, the delay introducing venue would delay thetransaction request by a delay (p), and the matching engine would notbegin to match the request until time instant 264, which is later thanthe time instant 256, so that the matching engine has knowledge of themost up to date price (r). The matching engine may match the requestwith that from another participant at time 266, and the transaction maybe processed at time instant 268, so that the other participant, who mayrely on the venue to access the latest information/data (q) relating toitem(s) of interest and to compute up to date price(s) (r) for suchitem(s), is not at a disadvantage.

It is clear that there are many ways to configure the device and/orsystem components, interfaces, communication links, and methodsdescribed herein. The disclosed methods, devices, and systems can bedeployed on convenient processor platforms, including network servers,personal and portable computers, and/or other processing platforms.Other platforms can be contemplated as processing capabilities improve,including personal digital assistants, computerized watches, cellularphones and/or other portable devices. The disclosed methods and systemscan be integrated with known network management systems and methods. Thedisclosed methods and systems can operate as an SNMP agent, and can beconfigured with the IP address of a remote machine running a conformantmanagement platform. Therefore, the scope of the disclosed methods andsystems are not limited by the examples given herein, but can includethe full scope of the claims and their legal equivalents.

The methods, devices, and systems described herein are not limited to aparticular hardware or software configuration, and may findapplicability in many computing or processing environments. The methods,devices, and systems can be implemented in hardware or software, or acombination of hardware and software. The methods, devices, and systemscan be implemented in one or more computer programs, where a computerprogram can be understood to include one or more processor executableinstructions. The computer program(s) can execute on one or moreprogrammable processing elements or machines, and can be stored on oneor more storage medium readable by the processor (including volatile andnon-volatile memory and/or storage elements), one or more input devices,and/or one or more output devices. The processing elements/machines thuscan access one or more input devices to obtain input data, and canaccess one or more output devices to communicate output data. The inputand/or output devices can include one or more of the following: RandomAccess Memory (RAM), Redundant Array of Independent Disks (RAID), floppydrive, CD, DVD, magnetic disk, internal hard drive, external hard drive,memory stick, or other storage device capable of being accessed by aprocessing element as provided herein, where such aforementionedexamples are not exhaustive, and are for illustration and notlimitation.

The computer program(s) can be implemented using one or more high levelprocedural or object-oriented programming languages to communicate witha computer system; however, the program(s) can be implemented inassembly or machine language, if desired. The language can be compiledor interpreted.

As provided herein, the processor(s) and/or processing elements can thusbe embedded in one or more devices that can be operated independently ortogether in a networked environment, where the network can include, forexample, a Local Area Network (LAN), wide area network (WAN), and/or caninclude an intranet and/or the Internet and/or another network. Thenetwork(s) can be wired or wireless or a combination thereof and can useone or more communication protocols to facilitate communication betweenthe different processors/processing elements. The processors can beconfigured for distributed processing and can utilize, in someembodiments, a client-server model as needed. Accordingly, the methods,devices, and systems can utilize multiple processors and/or processordevices, and the processor/processing element instructions can bedivided amongst such single or multiple processor/devices/processingelements.

The device(s) or computer systems that integrate with theprocessor(s)/processing element(s) can include, for example, a personalcomputer(s), workstation (e.g., Dell, HP), personal digital assistant(PDA), handheld device such as cellular telephone, laptop, handheld, oranother device capable of being integrated with a processor(s) that canoperate as provided herein. Accordingly, the devices provided herein arenot exhaustive and are provided for illustration and not limitation.

References to “a processor”, or “a processing element,” “the processor,”and “the processing element” can be understood to include one or moremicroprocessors that can communicate in a stand-alone and/or adistributed environment(s), and can thus can be configured tocommunicate via wired or wireless communication with other processors,where such one or more processor can be configured to operate on one ormore processor/processing elements-controlled devices that can besimilar or different devices. Use of such “microprocessor,” “processor,”or “processing element” terminology can thus also be understood toinclude a central processing unit, an arithmetic logic unit, anapplication-specific integrated circuit (IC), and/or a task engine, withsuch examples provided for illustration and not limitation.

Furthermore, references to memory, unless otherwise specified, caninclude one or more processor-readable and accessible memory elementsand/or components that can be internal to the processor-controlleddevice, external to the processor-controlled device, and/or can beaccessed via a wired or wireless network using a variety ofcommunication protocols, and unless otherwise specified, can be arrangedto include a combination of external and internal memory devices, wheresuch memory can be contiguous and/or partitioned based on theapplication. For example, the memory can be a flash drive, a computerdisc, CD/DVD, distributed memory, etc. References to structures includelinks, queues, graphs, trees, and such structures are provided forillustration and not limitation. References herein to instructions orexecutable instructions, in accordance with the above, can be understoodto include programmable hardware.

Although the methods and systems have been described relative tospecific embodiments thereof, they are not so limited. As such, manymodifications and variations may become apparent in light of the aboveteachings. Many additional changes in the details, materials, andarrangement of parts, herein described and illustrated, can be made bythose skilled in the art. Accordingly, it will be understood that themethods, devices, and systems provided herein are not to be limited tothe embodiments disclosed herein, can include practices otherwise thanspecifically described, and are to be interpreted as broadly as allowedunder the law.

Accordingly, we claim: 1-28. (canceled)
 29. A method for a computerizedexchange to process transactions while deterring or mitigatinghigh-frequency trading, the method comprising the steps of: receiving atthe exchange at time t₁, data q affecting a price of an item; estimatingby the exchange that the data q was generated at an earlier time t₀, bya data source distinct from the exchange, a difference t₁−t₀, designatedas communication delay, being v units of time; computing by a pricecomputation processor at the exchange, at a time t₂ later than time t₁,an updated price r of the item using the received data q, a differencet₂−t₁, designated as processing delay, being d units of time; receivingat the exchange from a trading system distinct from both the exchangeand the data source, at a time t_(t0), a first electronic tradingrequest for the item, the time t_(t0) being earlier than the time t₂ andlater than the estimated time t₀; and forwarding the first electronictrading request to a matching processor at the exchange via a bufferintroducing a forwarding delay of p units of time, the forwarding delayp being a function of a sum of the communication delay v and theprocessing delay d, a time t₃=t_(t0)+p being equal to or greater thant₂.
 30. The method of claim 29, wherein: the data source comprises aquotation provider; and the communication delay depends at least in parton at least one of: (i) the quotation provider from which the data q isreceived or (ii) a communication infrastructure between the quotationprovider and the exchange.
 31. The method of claim 29, wherein the itemis selected from a group consisting a stock, a bond, a currency, acrypto-currency, and a derivative instrument.
 32. The method of claim29, wherein the price computation processor is configured to compute anational best bid and offer (NBBO) price of the item.
 33. The method ofclaim 29, wherein the first electronic trading request is selected froma group consisting of: a buy order, a sell order, an order revision, anorder cancellation, a bid, an offer, a trading interest, and anindication of interest.
 34. The method of claim 29, wherein theforwarding delay p is in a range from 300 μs up to 400 μs.
 35. Themethod of claim 29, wherein: the communication delay v is based on, atleast in part, at least one characteristic of a communicationinfrastructure between the exchange and the data source; and theprocessing delay is based on, at least in part, at least onecharacteristic of the price computation processor.
 36. The method ofclaim 29, wherein the function of the sum of the communication delay vand the processing delay d comprises a fraction of the sum.
 37. Themethod of claim 29, further comprising matching by the matchingprocessor the first electronic trading request with a second electronictrading request, the matching being based on, at least in part, theupdated price r of the item computed by the price computation processor.38. A computerized exchange system for processing transactions whiledeterring or mitigating high-frequency trading, comprises: acommunication interface for receiving at the exchange: (i) at time t₁,from a data source distinct from the exchange, data q affecting a priceof an item; and (ii) at time t_(t0), from a trading system distinct fromboth the exchange and the data source, a first electronic tradingrequest for the item; an order delaying module configured to estimatethat the data q was generated by the data source at an earlier time t₀,a difference t₁−t₀, designated as communication delay, being v units oftime; and a price computation processor configured for computing at atime t₂ later than time t₁ and later than time t_(t0), an updated pricer of the item using the received data q, a difference t₂−t₁, designatedas processing delay, being d units of time, the order delaying modulebeing further configured to forward the first electronic trading requestto a matching processor at the exchange via a buffer introducing aforwarding delay of p units of time, the forwarding delay p being afunction of a sum of the communication delay v and the processing delayd, a time t₃=t_(t0)+p being equal to or greater than t₂.
 39. The systemof claim 38, wherein: the data source comprises a quotation provider;and the communication delay depends at least in part on at least one of:(i) the quotation provider from which the data q is received or (ii) acommunication infrastructure between the quotation provider and theexchange.
 40. The system of claim 38, wherein the item is selected froma group consisting of a stock, a bond, a currency, a crypto-currency,and a derivative instrument.
 41. The system of claim 38, wherein theprice computation processor is configured to compute a national best bidand offer (NBBO) price of the item.
 42. The system of claim 38, whereinthe first electronic trading request is selected from a group consistingof: a buy order, a sell order, an order revision, an order cancellation,a bid, an offer, a trading interest, and an indication of interest. 43.The system of claim 38, wherein the forwarding delay p is in a rangefrom 300 μs up to 400 μs.
 44. The system of claim 38, wherein: thecommunication delay v is based on, at least in part, at least onecharacteristic of a communication infrastructure between thecommunication interface and the data source; and the processing delay isbased on, at least in part, at least one characteristic of the pricecomputation processor.
 45. The system of claim 38, wherein the functionof the sum of the communication delay v and the processing delay dcomprises a fraction of the sum.
 46. The system of claim 38, wherein:the transactions matching processor is configured to match the firstelectronic trading request with a second electronic trading request, thematch being based on, at least in part, the updated price r of the itemcomputed by the price computation processor.